A Fourier transform method for spread option pricing (Q3563689)
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scientific article; zbMATH DE number 5714644
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A Fourier transform method for spread option pricing |
scientific article; zbMATH DE number 5714644 |
Statements
A Fourier Transform Method for Spread Option Pricing (English)
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1 June 2010
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spread options
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multivariate spread options
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jump diffusions
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fast Fourier transform
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gamma function
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0.8745782971382141
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0.8317937254905701
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0.8195563554763794
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0.8021463751792908
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